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Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

Decomposition and partitioning methods for multistage stochastic linear programs
Authors: Birge, John R.;

Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

Abstract

Multistage stochastic linear programs model problems in financial planning, dynamic traffic assignment, economic policy analysis, and many other applications. Equivalent representations of such problems as deterministic linear programs are, however, excessively large. This paper develops decomposition and partitioning methods for solving these problems and reports on computational results on a set of practical test problems.

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Keywords

Large-scale problems in mathematical programming, Numerical mathematical programming methods, multistage stochastic linear program, piecewise linear partitioning, Stochastic programming, deterministic equivalent, fixed recourse, large scale programs, computational results, outer linearization decomposition

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    selected citations
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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    385
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Top 1%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
385
Top 1%
Top 0.1%
Top 10%
bronze